390013 SE PhD-VGSF: Market Microstructure (2019S)
Continuous assessment of course work
Labels
Language of Instruction: EnglishNur nach persönlicher Anmeldung im Student-Office der VGSF. Bitte um vorherige Kontaktaufnahme mit Herrn Adrian Baron, Email: adrian.baron@wu.ac.at
Details
max. 24 participants
Language: English
Lecturers
Classes (iCal) - next class is marked with N
This course takes place 4 hours per week in the second half of the semester (Mo and Th 9:45-11:15). It builds on Market Microstructure I and is intended for advanced master as well as doctoral students.
Selected student are given the option of a full fee waiver for an intensive training course of the Börse Wien.
Monday
06.05.
09:45 - 11:15
Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
Thursday
09.05.
09:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday
13.05.
09:45 - 11:15
Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
Thursday
16.05.
09:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday
20.05.
09:45 - 11:15
Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
Thursday
23.05.
09:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday
27.05.
09:45 - 11:15
Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
Monday
03.06.
09:45 - 11:15
Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
Thursday
06.06.
09:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
13.06.
09:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday
17.06.
09:45 - 11:15
Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
Monday
24.06.
09:45 - 11:15
Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
Thursday
27.06.
09:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Information
Aims, contents and method of the course
Assessment and permitted materials
Written exercises and class participation.
Minimum requirements and assessment criteria
Contribution of partial exams to the final grade: Participants are required to work out solutions to specific problems (75%) and present/discuss their solutions in class (25%).
Minimum requirements for the positive grade: 50%Selected student are given the option of a full fee waiver for an intensive training course of the Börse Wien.
Minimum requirements for the positive grade: 50%Selected student are given the option of a full fee waiver for an intensive training course of the Börse Wien.
Examination topics
1. Financial Markets Equilibrium
a. decentralized price determination
i. organized markets (auctions)
ii. search markets (OTC)
b. determinants of liquidity
c. liquidity asset pricing
d. limits to arbitrage2. Policy and Market Design
a. transparency
b. fast trading and speed bumps
c. crashes and trading halts3. Dark Pools and Crossing Networks
a. intermodal competition
b. toxic arbitrage
a. decentralized price determination
i. organized markets (auctions)
ii. search markets (OTC)
b. determinants of liquidity
c. liquidity asset pricing
d. limits to arbitrage2. Policy and Market Design
a. transparency
b. fast trading and speed bumps
c. crashes and trading halts3. Dark Pools and Crossing Networks
a. intermodal competition
b. toxic arbitrage
Reading list
Textbooks:• Thierry Foucault, Marco Pagano, Ailsa Roell: Market Liquidity: Theory, Evidence and Policy, Oxford University Press, 2013.
• Joel Hasbrouck: Empirical Market Microstructure, Oxford University Press, 2007.
• Frank de Jong, Barbara Rindi: The Microstructure of Markets, Cambridge University Press, 2009.
• Dan Spulber: Market Microstructure, Cambridge University Press, 1995.
• Maureen O’Hara: Market Microstructure Theory, Blackwell, 1995.A detailed literature list of specific research articles will be made available on Moodle.
• Joel Hasbrouck: Empirical Market Microstructure, Oxford University Press, 2007.
• Frank de Jong, Barbara Rindi: The Microstructure of Markets, Cambridge University Press, 2009.
• Dan Spulber: Market Microstructure, Cambridge University Press, 1995.
• Maureen O’Hara: Market Microstructure Theory, Blackwell, 1995.A detailed literature list of specific research articles will be made available on Moodle.
Association in the course directory
Last modified: Mo 07.09.2020 15:46
The aim of the course is to develop a deeper understanding of the “invisible hand” of the Walrasian auctioneer in decentralized market institutions. Because of their abundance of data, financial markets are a great laboratory for market microstructure and offer topical applications, especially for market design. Market microstructure applies to the whole spectrum from well-organized liquid and automated financial markets all the way to illiquid over-the-counter markets such as real estate, labor markets for specialists, or even art markets. It discusses how the microstructure of trading does affect price discovery and price informativeness, price volatility and, hence, individual behavior and market participation, and hence market liquidity.
The main part of the course discusses the role of trading rules and transparency on individual behavior and its implication on price discovery. This allows a better understanding of the relative advantages of the many different real world market designs. This provides a basis for the discussion of topical phenomena such as high frequency trading and speed bumps, dark pools and cross-market trading, blockchains and crypto-currencies/securities, both from the perspective of individual strategy as well as from a societal welfare perspective. Can the invisible hand be trusted? Are there needs for corrective regulatory intervention, and if so, which?
Suggested Structure of the Course:
1. Financial Markets Equilibrium
a. decentralized price determination
i. organized markets (auctions)
ii. search markets (OTC)
b. determinants of liquidity
c. liquidity asset pricing
d. limits to arbitrage2. Policy and Market Design
a. transparency
b. fast trading and speed bumps
c. crashes and trading halts3. Dark Pools and Crossing Networks
a. intermodal competition
b. toxic arbitrage